Kamakura upgrades key risk management system.

KRM is an integrated credit risk, market risk, and asset and liability management software system. The company has updated its technology to allow defaults to be simulated on a multi-period basis. The system includes a fully distributed Monte Carlo simulation and has a multi-period framework that corrects valuation and risk assessment of collateralised debt obligations or any other balance sheet.

Kamakura said version 4.3 incorporates reduced form credit models for estimating default probabilities and the older Merton structural models of default. Other enhancements include volatility capability for fixed income, foreign exchange and equity options.

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